Vim's folding doesn't do this out-of-the-box, but you can set it up to do so. Clickable links aren't doable, though copying and opening in a browser tab is something like seven keystrokes on my current setup.

In modern Vim (with netrw), you can type `gx` when the cursor is over a URL to open it in your browser.

Kind of surprised Sublime Text 2 / 3 doesn't have a plugin that allows for annotation.

You might want to check this out: https://srclib.org/plugins/sublimetext/

srclib is the open-source library that powers Sourcegraph, a code search engine.